Stability of the Demand for Money in Korea
Mohsen Bahmani-Oskooee () and
International Economic Journal, 2002, vol. 16, issue 2, 85-95
Cointegration technique is now a common method of estimating an money demand function. Couple studies that applied this technique to money demand in korea, interpreted their finding of cointegration as a sign of stable money demand. In this paper we show that even though M2 monetary aggregate is cointegrated with income, interest rate and exchange rate, application of CUSUM and CUSUMSQ tests to the residuals of an error-correction model reveal that it is unstable. [E41]
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